Limit theorems for the realised semicovariances of multivariate Brownian semistationary processes

@article{Li2021LimitTF,
  title={Limit theorems for the realised semicovariances of multivariate Brownian semistationary processes},
  author={Yuan Li and Mikko S. Pakkanen and Almut E. D. Veraart},
  journal={Stochastic Processes and their Applications},
  year={2021}
}
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Abstract In this paper we introduce the multivariate Brownian semistationary (BSS) process and study the joint asymptotic behaviour of its realised covariation using in-fill asymptotics. First, we…